


********************************************************************************
* Figure 10: The Reaction of Bond Yields to the Long-run Dot Plot
********************************************************************************

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* (A) 10y TIPS yield
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use "../data/final_data_fed_secular_decline", clear

*2-day changes
generate tipsy10_2dchg = tipsy10_chg + tipsy10_chg[_n+1]

*Keep only dot plot observations
keep if !missing(dotlr_chg)

*Labels
label var dotlr_chg "Change in Fed Forecast for Long-term Federal Funds rate (%)"
generate qe_label = "QE3 Tapering" if date == td(19jun2013)
replace qe_label = "1st dot plot after Covid breakout" if date == td(10jun2020)

twoway (scatter tipsy10_2dchg dotlr_chg, mlabel(qe_label)) || ///
(lfit tipsy10_2dchg dotlr_chg) ,  ///
scheme(s2gmanual) ///
graphregion(color(white)) bgcolor(white) legend(off) ///
xlabel(-0.3(0.1)0.2) ///
ytitle("Change in 10-year TIPS yield (%)")
graph export "../figures/figure10a.png", replace


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* (B) 5y5y TIPS forward rate
*********************************

use "../data/final_data_fed_secular_decline", clear

*2-day changes
generate tips5y5y_2dchg = tips5y5y_chg + tips5y5y_chg[_n+1]

*Keep only dot plot observations
keep if !missing(dotlr_chg)

*Labels
label var dotlr_chg "Change in Fed Forecast for Long-term Federal Funds rate (%)"
generate qe_label = "QE3 Tapering" if date == td(19jun2013)
replace qe_label = "1st dot plot after Covid breakout" if date == td(10jun2020)

twoway (scatter tips5y5y_2dchg dotlr_chg, mlabel(qe_label)) || ///
(lfit tips5y5y_2dchg dotlr_chg) ,  ///
scheme(s2gmanual) ///
graphregion(color(white)) bgcolor(white) legend(off) ///
xlabel(-0.3(0.1)0.2) ///
ytitle("Change in 5-year/5-year TIPS forward rate (%)")
graph export "../figures/figure10b.png", replace